Monetary Policy and the Stock Market: Some International evidence
This paper investigates the impact of monetary policy on stock returns in thirteen OECD countries over the period 1972-2002. Our results indicate that monetary policy shifts significantly affect stock returns, thereby supporting the notion of monetary policy transmission via the stock market. Our contribution with respect to previous work is threefold. First, we show that our findings are robust to various alternative measures of stock returns. Second, our inferences are adjusted for the non-normality exhibited by the stock returns data. Finally, we take into account the increasing co-movement among international stock markets. The sensitivity analysis indicates that the results remain largely unchanged.
|Date of creation:||Sep 2006|
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NBER Working Papers
5310, National Bureau of Economic Research, Inc.
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CEPR Discussion Papers
2931, C.E.P.R. Discussion Papers.
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